KHL has a draft procedure but it's purpose is quite different from NHL's one. KHL draft is mostly about drafting Russian kids from small cities/hockey schools into KHL system but each KHL team already has 50 or more homegrown juniors which they don't need to draft.
For example, Khokhlachev was never drafted in the KHL because his KHL rights belong to his junior team (Spartak Moscow) anyway. On the other hand, Slepyshev was raised in Penza which has no KHL franchise so he had to be drafted and went 1st overall to Novokuznetsk.
Obviously some teams may take a chance to draft MacKinnon, Ristolainen, Frk, Huberdeau, etc. just in case they don't pan out or something drastically changes in hockey world in next 15 years. It's like everyone in the NHL understood that drafting Tretyak, Vladimir Krutov or Sergei Makarov was a longshot but in Makarov's case 12th round pick in 1983 turned out to be point-per-game player for four seasons for Calgary.
There is a draft just like in the NHL, BUT there is rule that allows teams to protect a certain amount of homegrown players. The number can change every year. You can't implement the draft system in the KHL right away as there are franchise owned hockey schools. They would lose players they invested a lot of time and money in for nothing. On the other hand the teams without such a well developed hockey school need the draft as they don't have an own talent pipeline obviously. So right now it's a point of a heated discussion as teams with good hockey schools obviously lose through the draft, but that's the other teams' gain.
For the above reasons the importance of the draft is much lower in the KHL as the best guys mostly get protected and aren't available for the draft. But still also foreign players get drafted. There is small chance of course RNH or McKinnon would come to the KHL, but if some Bettman orchestrates another lockout someday their rights would be owned by the franchises that drafted them in the KHL and they would be only able to play for hose teams in the KHL or their rights must be traded.